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We consider the problem of computing upper and lower bounds on the price of aEuropean basket call option, given prices on other similar baskets. We focushere on an interpretation of this program as a generalized moment problem.Recent results by Berg & Maserick (1984), Putinar & Vasilescu (1999) andLasserre (2001) on harmonic analysis on semigroups, the K-moment problem andits applications to optimization, allow us to derive tractable necessary andsufficient conditions for the absence of static arbitrage between basketstraddles, hence between basket calls and puts.

A Harmonic Analysis Solution to the Static Basket Arbitrage Problem